The performance and governance of pension funds in Switzerland:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2009
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Physical Description: | XX, 216 S. graph. Darst. |
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MARC
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Record in the Search Index
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| adam_text | CONTENTS INTRODUCTION 1 1.1 MOTIVATION 1 1.2 RESEARCH IDEA 2 1.3 OUTLINE
. 5 PERFORMANCE OF SWISS PENSION FUNDS 7 2.1 INTRODUCTION 7 2.2
LITERATURE 9 2.3 INVESTMENT REGULATIONS FOR PENSION FUNDS 10 2.4 DATA 12
2.5 MODELS OF PERFORMANCE MEASUREMENT 18 2.5.1 PERFORMANCE MEASUREMENT
OF BONDS 18 2.5.2 PERFORMANCE MEASUREMENT OF EQUITIES 20 2.5.3
LIMITATIONS OF PERFORMANCE MEASUREMENT MODELS . . . . 22 2.6 EMPIRICAL
RESULTS 23 2.6.1 DOMESTIC BONDS 23 2.6.2 INTERNATIONAL BONDS 26 2.6.3
DOMESTIC EQUITIES 32 2.6.4 INTERNATIONAL EQUITIES 34 2.7 PERSISTENCE
ANALYSIS 38 2.7.1 PERSISTENCE OF INVESTMENT PERFORMANCE 38 2.7.2
PERSISTENCE OF INVESTMENT STRATEGIES 42 2.8 CONCLUSION 47 VII VIII
CONTENTS 3 CHARACTERISTICS AND PERFORMANCE 51 3.1 INTRODUCTION 51 3.2
LITERATURE 53 3.3 STATUTORY FRAMEWORK 54 3.4 DATA 56 3.5 RELATION
CHARACTERISTICS AND PERFORMANCE 59 3.5.1 PERFORMANCE MEASURE 59 3.5.2
PERFORMANCE EQUATION 62 3.5.3 ADMINISTRATION COSTS EQUATION 64 3.5.4
ASSET MANAGEMENT COSTS EQUATION 66 3.6 EMPIRICAL RESULTS 69 3.6.1
DETERMINANTS OF PENSION FUND PERFORMANCE 69 3.6.2 DETERMINANTS OF
ADMINISTRATION COSTS 72 3.6.3 DETERMINANTS OF ASSET MANAGEMENT COSTS 74
3.6.4 ROBUSTNESS TESTS _ 75 3.7 CONCLUSION 77 3.8 APPENDIX 79 4 PENSION
FUND GOVERNANCE 83 4.1 INTRODUCTION 83 4.2 LITERATURE 85 4.3 LEGAL
REQUIREMENTS 87 4.4 SWISS PENSION FUND GOVERNANCE INDEX 89 4.4.1
ORGANIZATION 89 4.4.2 TARGET SETTING AND MANAGEMENT OBJECTIVES 92 4.4.3
INVESTMENT STRATEGY 95 4.4.4 INVESTMENT RULES AND ORGANIZATION 98 4.4.5
CONTROLLING AND STEERING 100 4.4.6 COMMUNICATION 104 4.5 GOVERNANCE
QUALITY OF SWISS PENSION FUNDS 106 4.5.1 SCORING SYSTEM 108 4.5.2 SURVEY
RESULTS 109 4.6 RELATION GOVERNANCE QUALITY AND PERFORMANCE 112 4.6.1
MODEL 112 4.6.2 EMPIRICAL RESULTS 115 4.7 CONCLUSION 125 4.8 APPENDIX
127 CONTENTS IX 5 DYNAMIC INVESTMENT STRATEGIES 129 5.1 INTRODUCTION 129
5.2 SITUATION AND INVESTMENT BEHAVIOR 130 5.3 DYNAMIC INVESTMENT
STRATEGIES 133 5.3.1 PORTFOLIO INSURANCE 134 5.3.2 CONSTANT PROPORTION
PORTFOLIO INSURANCE 135 5.3.3 REVERSO 137 5.4 MODELING FRAMEWORK 139
5.4.1 ASSETS 140 5.4.2 LIABILITIES 142 5.4.3 MONTE CARLO SIMULATION 143
5.4.4 RISK AND REWARD CRITERIA 145 5.5 SIMULATION RESULTS 147 5.5.1
PORTFOLIO INSURANCE 150 5.5.2 CONSTANT PROPORTION PORTFOLIO INSURANCE
156 5.5.3 REVERSO 160 5.5.4 COMPARISON OF DYNAMIC STRATEGIES 164 5.5.5
SENSITIVITY ANALYSIS 166 5.6 CONCLUSION 169 6 MINIMUM INTEREST RATE
POLICIES 171 6.1 INTRODUCTION 171 6.2 RISK-TAKING CAPACITY OF PENSION
FUNDS 174 6.3 MINIMUM INTEREST RATE POLICIES 176 6.4 MODELING FRAMEWORK
178 6.4.1 ASSET LIABILITY OPTIMIZATION 179 6.4.2 PORTFOLIO SELECTION 181
6.4.3 MODEL INPUT PARAMETERS 183 6.4.4 MONTE CARLO SIMULATION 185 6.5
OPTIMUM INVESTMENT STRATEGIES 185 6.6 SIMULATION RESULTS 189 6.6.1
STABILITY OF THE PENSION SYSTEM 189 6.6.2 RETIREMENT INCOME OF THE PLAN
MEMBERS 192 6.7 CONCLUSION 194 X CONTENTS 7 CONCLUSION 197 7.1 SUMMARY
OF FINDINGS 197 7.2 HYPOTHESES ON A NEW SWISS PENSION SCHEME 200 7.2.1
CORE-SATELLITE INVESTMENT APPROACH 200 7.2.2 NEUTRALITY IN THE TREATMENT
OF PUBLIC AND PRIVATE PENSION FUNDS 201 7.2.3 TRANSITION TO DEFINED
CONTRIBUTION PLANS 202 7.2.4 ISO CERTIFICATE FOR PENSION FUND GOVERNANCE
202 7.2.5 PROFESSIONALIZATION OF PENSION FUND MANAGEMENT .... 203 7.2.6
RESOURCE SHARING 204 7.2.7 MARKET BASED GUARANTEES IN THE MANDATORY
OCCUPATIONAL PENSION SCHEME 204 7.2.8 SWISS 401 (K) PLANS 205
|
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| author | Zingg, Andreas 1975- |
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Zingg, Andreas 1975- Verfasser (DE-588)13942850X aut The performance and governance of pension funds in Switzerland submitted by Andreas Zingg 2009 XX, 216 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2009 Diss.-Nr. 3668 Anlageverhalten stw Institutioneller Anleger stw Kapitalertrag stw Pensionsfonds stw Performance Measurement stw Schweiz stw Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Governance (DE-588)4639012-1 gnd rswk-swf Pensionskasse (DE-588)4045107-0 gnd rswk-swf Schweiz (DE-588)4053881-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweiz (DE-588)4053881-3 g Performance Kapitalanlage (DE-588)4219415-5 s Pensionskasse (DE-588)4045107-0 s DE-604 Governance (DE-588)4639012-1 s DE-188 DE-601 pdf/application http://www.gbv.de/dms/zbw/610285696.pdf kostenfrei Inhaltsverzeichnis SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018687340&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zingg, Andreas 1975- The performance and governance of pension funds in Switzerland Anlageverhalten stw Institutioneller Anleger stw Kapitalertrag stw Pensionsfonds stw Performance Measurement stw Schweiz stw Performance Kapitalanlage (DE-588)4219415-5 gnd Governance (DE-588)4639012-1 gnd Pensionskasse (DE-588)4045107-0 gnd |
| subject_GND | (DE-588)4219415-5 (DE-588)4639012-1 (DE-588)4045107-0 (DE-588)4053881-3 (DE-588)4113937-9 |
| title | The performance and governance of pension funds in Switzerland |
| title_auth | The performance and governance of pension funds in Switzerland |
| title_exact_search | The performance and governance of pension funds in Switzerland |
| title_full | The performance and governance of pension funds in Switzerland submitted by Andreas Zingg |
| title_fullStr | The performance and governance of pension funds in Switzerland submitted by Andreas Zingg |
| title_full_unstemmed | The performance and governance of pension funds in Switzerland submitted by Andreas Zingg |
| title_short | The performance and governance of pension funds in Switzerland |
| title_sort | the performance and governance of pension funds in switzerland |
| topic | Anlageverhalten stw Institutioneller Anleger stw Kapitalertrag stw Pensionsfonds stw Performance Measurement stw Schweiz stw Performance Kapitalanlage (DE-588)4219415-5 gnd Governance (DE-588)4639012-1 gnd Pensionskasse (DE-588)4045107-0 gnd |
| topic_facet | Anlageverhalten Institutioneller Anleger Kapitalertrag Pensionsfonds Performance Measurement Schweiz Performance Kapitalanlage Governance Pensionskasse Hochschulschrift |
| url | http://www.gbv.de/dms/zbw/610285696.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018687340&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT zinggandreas theperformanceandgovernanceofpensionfundsinswitzerland |
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